Let's say you wanted to create a String constant of a Unicode non-breaking whitespace. This is Unicode
String nbsp = ????;
The SFDC doc is maddeningly incomplete on this topic. The section on Primitives doesn't say anything relevant and if your thoughts turned to escape sequences, what is listed doesn't address Unicode:
Escape Sequences: All Strings in Apex use the same escape sequences as SOQL strings: \b (backspace), \t (tab), \n (line feed), \f (form feed), \r (carriage return), \" (double quote), \' (single quote), and \ (backslash).
Does one escape Unicode sequences? If so, how?